Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Diversified Trend-Following Program is a long-term systematic trend-following strategy with relatively low correlation to other major CTAs. Unlike the larger CTAs, the DTFP portfolio achieves a high level of diversification by having a risk profile of roughly half commodity futures and half financial instruments. The commodity exposure includes agricultural/soft futures, energy futures and both base and precious metal futures. The financial exposure includes interest rate futures, stock index futures and foreign exchange. The Diversified Trend-Following Program has no market or sector bias based on the belief that each instrument can produce long-term profits through the application of independent technical analysis and risk management. Positions can be long, short or flat while awaiting a signal. Numerous models are traded, but all are trend-following in nature. The benefit of different models is to provide diversification, for any given instrument, away from a single entry and exit point, hence to reduce the volatility of the overall portfolio. The trading program targets 20% return with a volatility of 18%. The average trade duration for a winning trade is about 8 months and for a losing trade it is about 2 months. The Diversified Trend-Following Program began trading client funds May 1997.

Performance Statistics

Date Range: 04/97 - 04/19

Program

S&P 500

Altegris 40

Total Return

586.52%

489.74%

173.79%

Annualized Return

9.15%

8.37%

4.67%

Annualized Std. Deviation

19.35%

14.93%

10.00%

Correlation

-0.14

0.67

Sharpe Ratio (rf=2.5%)

0.34

0.39

0.22

Worst Month

-9.49%

-16.79%

-7.77%

Date of Worst Month

10/2018

10/2008

11/2001

Worst Drawdown

-32.52%

-50.95%

-15.74%

Date of Worst Drawdown

3/04 - 11/06

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/97 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

3.80

18.24

5.17

2018

-6.03

-4.38

-4.29

2017

7.72

21.84

1.24

2016

-2.27

11.98

-3.13

2015

-2.36

1.41

0.09

2014

20.76

13.69

15.75

2013

9.58

32.41

-2.45

2012

-4.64

15.98

-4.75

2011

-16.14

2.12

-3.23

2010

0.65

15.06

11.33

2009

9.09

26.45

-7.98

2008

75.65

-36.99

15.47

2007

5.00

5.50

7.18

2006

-15.40

15.79

6.70

2005

-10.47

4.89

4.51

2004

7.27

10.87

2.57

2003

25.77

28.69

15.99

2002

5.55

-22.10

15.22

2001

20.62

-11.88

5.39

2000

15.80

-9.09

10.63

1999

10.46

21.04

0.87

1998

47.21

28.58

12.61

1997

30.42

22.58

6.20

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/97 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 04/97 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/97 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 04/97 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Drury Capital, Inc.

Address:

c/o Drury Capital Services 47 Hulfish Street, Suite 340

City:

Princeton

State:

NJ

Zip:

08542

Country:

USA

Key People

Name:

Bernard V. Drury

Position:

Principal

Biography:

Mr. Drury is the developer of the trading methodology for Drury Capital. He has been an active participant in the futures markets since 1978. Before developing the trend-following methodology of the Diversified Trend-Following Program, Mr. Drury worked for years as an analyst and trader in the grain markets and worked for Goldman Sachs Princeton from September 1997 to March 1999. Since September 1978, Mr. Drury had been a fundamentally-oriented grain trader who initially undertook trendfollowing research in order to enhance his grain trading skills. The favorable research results le d to the establishment of the Diversified Trend-Following Program, a stand-alone technical trend-following system. Mr. Drury received a B.A. in Russian, cum laude, from Dartmouth College in 1978 and an M.B.A. from the University of Chicago in 1993.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.